42 citations · 98 across the 11 of their papers we have counts for
18 papers
How to Compare Copula Forecasts?
Tobias Fissler, Yannick Hoga
This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be el…
Elicitability and identifiability of tail risk measures
Tobias Fissler, Fangda Liu, Ruodu Wang +1
Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at…
Generalised Covariances and Correlations
Tobias Fissler, Marc-Oliver Pohle
The covariance of two random variables measures the average joint deviations from their respective means. We generalise this well-known measure by replacing the means with other st…
Characterizing M-estimators
Timo Dimitriadis, Tobias Fissler, Johanna Ziegel
We characterize the full classes of M-estimators for semiparametric models of general functionals by formally connecting the theory of consistent loss functions from forecast evalu…
Osband's Principle for Identification Functions
Timo Dimitriadis, Tobias Fissler, Johanna Ziegel
Given a statistical functional of interest such as the mean or median, a (strict) identification function is zero in expectation at (and only at) the true functional value. Identif…
Measurability of functionals and of ideal point forecasts
Tobias Fissler, Hajo Holzmann
The ideal probabilistic forecast for a random variable based on an information set is the conditional distribution of given . In the context of p…